Ron --
You are using portfolio back testing. So, when your system goes long,
it is reinvesting profits from previous long AND short trades.
Likewise, when your system goes short, it is reinvesting profits from
previous short AND long trades. Life is good.
-- Keith
On 7/22/2010 10:02, Ron wrote:
Let me attempt to be more clear,
When I run my system in long only I get the total and long columns on
the report for Net Profit of 458.76%,
Net Profit % 458.76 % 458.76 % 6.59 %
When I run it short I get the total and short columns on the report
for Net Profit of 75.98%,
Net Profit % 75.89 % 6.59 % 75.89 %
When I run it long and short I get Net Profit total of 821.76%, long
of 612.44% and short of 215.90%,
Net Profit % 821.76 % 612.44 % 215.90 %
Why is long column for Net Profit% not the same for the long only and
long and short run?
And same question for the short column on the short only and long and
short run?
Ron
--- In amibroker@yahoogroups.com <mailto:amibroker%40yahoogroups.com>,
"Matthias K." <meridian...@...> wrote:
>
> Hi,
>
> It's very hard to understand the system's logic only by numbers. But
as a
> matter of fact you identified the problem already: when you're
testing long
> only, the shorts are skipped, thus it'll result in a very different
equity
> curve as compared to the result when trading long and short together. So
> far, if everything went right, you just figured out the difference of
> trading a long-only system and a short-only system.
>
>
>
> If trading stocks, one might consider the long-side only because the
indices
> and stocks sort of have a long-bias. In order to smoothen your
equity curve,
> you might want to combine a short and a long system. The result is
something
> like you're showing here. It'll pretty much enable you to make money in
> both bull and bear markets and ideally smoothens out the equity
curve and
> reduces drawdowns and flat periods. Looks good to me if your coding
has been
> right and doesn't look into the future.
>
>
>
> Always:
>
>
>
> CAR/MDD ratio: above 1,5 over 10 years time is outstanding, as it's
a risk
> adjusted measure, it'll equal/weigh up profits versus
losses|drawdown and
> will not consider "net profit only"
>
>
>
> To sum it up: the more trades you have, the longer your backtesting
period
> is, the higher your CAR/MDD ratio: the better your system. Don't
forget to
> include commissions/ spreads, anyhow. They might deteriorate your big
> picture. Especially with mid-caps.
>
>
>
> A good custom backtest metric might be a combination of number of
trades and
> CAR/MDD, so to say, make 50 Trades per year and still give a CAR/MDD
ratio
> above 1.
>
>
>
> Greetings
>
>
>
> M
>
>
>
> From: amibroker@yahoogroups.com <mailto:amibroker%40yahoogroups.com>
[mailto:amibroker@yahoogroups.com
<mailto:amibroker%40yahoogroups.com>] On Behalf
> Of Ron
> Sent: Donnerstag, 22. Juli 2010 06:31
> To: amibroker@yahoogroups.com <mailto:amibroker%40yahoogroups.com>
> Subject: [amibroker] Backtest Report Long/Short trades columns?
>
>
>
>
>
> I have a strategy that over time is either long or short but not
both at the
> same time. I'm having difficulty understanding the Long and Short trades
> columns in the back test report when I run the back test in Long and
Short
> mode.
>
> Long only backtest gives (Net Profit 458.76%)
>
> Initial capital 100000.00 100000.00 100000.00
> Ending capital 558757.12 558757.12 106586.98
> Net Profit 458757.12 458757.12 6586.98
> Net Profit % 458.76 % 458.76 % 6.59 %
> Exposure % 38.28 % 38.28 % 0.00 %
> Net Risk Adjusted Return % 1198.47 % 1198.47 % N/A
> Annual Return % 30.78 % 30.78 % 1.00 %
> Risk Adjusted Return % 80.42 % 80.42 % N/A
>
> Short only backtest gives (Net Profit 75.89%)
>
> Initial capital 100000.00 100000.00 100000.00
> Ending capital 175889.18 106586.98 175889.18
> Net Profit 75889.18 6586.98 75889.18
> Net Profit % 75.89 % 6.59 % 75.89 %
> Exposure % 28.44 % 0.00 % 28.44 %
> Net Risk Adjusted Return % 266.88 % N/A 266.88 %
> Annual Return % 9.21 % 1.00 % 9.21 %
> Risk Adjusted Return % 32.38 % N/A 32.38 %
>
> The Long & Short backtest gives,
>
> Initial capital 100000.00 100000.00 100000.00
> Ending capital 921758.81 712441.67 315904.12
> Net Profit 821758.81 612441.67 215904.12
> Net Profit % 821.76 % 612.44 % 215.90 %
> Exposure % 66.78 % 38.28 % 28.50 %
> Net Risk Adjusted Return % 1230.56 % 1599.91 % 757.56 %
> Annual Return % 41.40 % 35.84 % 19.65 %
> Risk Adjusted Return % 62.00 % 93.62 % 68.96 %
>
> Notice the Long Net Profit is 612.44% and Short is 215.90% which is
quite a
> bit different then when I ran them independently. Other columns are
> different as well but I'll focus on Net Profit % for now.
>
> I expect there is some compounding thing happening here but if
someone asked
> me I couldn't explain it. Does anyone out there have a explanation.
>
> Thanks in advance,
>
> Ron
>
